blueice5917 wrote:
我看不懂你問的......(恕刪)
所以，會虧錢的點位變得不同了....
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http://www.iasg.com/groups/group/ckp-finance-associates-ag/program/ckp-masters-program
就是這支做選擇權賣方的基金，獲利穩定，不知道您看得出它的賣方策略嗎？還有它的避險是怎麼做的呢？
Strategy Description（它的策略描述）
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Summary
-The program is an option writing program. Due to unusually favorable market conditions during 2009 performance has been well above target. It should not be expected that this level of return is sustainable. All 2009 results have been audited and verified, for details see www.ckplomax.com
Investments
After careful evaluation of fundamentals, indicators and chart analyses markets are selected. In each market, strike prices and number of contracts are selected and short-term options are written as outrights in trending markets or as strangles in non-trending markets. A trading account with the described option trading strategy can be co-margined with an existing futures trading account managed by a different CTA.
Risk Management
Tight risk management is applied by daily calculating portfolio risk and setting tight soft or hard stops (2.5% of NAV per position), continuous market observation, evaluation of fundamentals, charts and indicators.
Strategy （它的策略）
Fundamental 0%
Trend-following 0%
Counter-trend 0%
Option-writing 90.00%
Option-purchasing 0%
Option-spreads 10.00%
Seasonal/cyclical 0%
Spreading/hedging 0%
Arbitrage 0%
Other 0%
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kant520 wrote:
對不起版主，不知可不...(恕刪)
還沒仔細看....
晚一點再回
dinochang wrote:
以目前情況來說74...(恕刪)
是正的喔....是權利金之和...的確
7900call收7.8
7600call收86
7000put收3.3
7400put收36.5.....
畫時忘了部位數目
那是要現在的價格才算.....應該啦...
所以7400~7600的確有可能正.....就像之前說的W一樣
不過.....正得不多...為了維持這樣的價位....值不值花期貨去調整......
有待商榷....加上這種做法.......會使的7600~7900之間與7000~7400之間虧損加大...
會像這樣....屁屁坐板凳圖(搞笑.....)
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文章編號：19457126
kant520 wrote:
對不起版主，不知可不...(恕刪)
google 一下CKP的網站
投資的方式如下
CKP MASTERS PROGRAM - Investment Methodology
The CKP MASTERS PROGRAM is an option writing method that targets a monthly profit according to the risk tolerance of the client. Clients with a high tolerance and a high profit target would select the "aggressive" version of the program which works with margin to equity ratios of 50% or higher. Clients with lower risk tolerance and a lower profit target would select the "conservative" version which operates with 30% or less margin to equity ratio. The option trading can be combined with a futures trading program by a second CTA in a second, parallel notional account.
The program trades in markets of sufficiently high or declining volatility. In range-bound markets CKP will generally just write wide strangles. In trending markets CKP will either write single options behind the trend, or will establish low risk, hedged ratio spreads that benefit from a continuing trend. When fundamental and technical analyses agree that a certain UC is range-bound, but moving in waves between support and resistance levels, neutral strangles will be written. CKP is using stops on exposed positions, either on the option itself, or, at lower option liquidity, on the UC. In the conservative version no single position exceeds 10% of account equity, while in the aggressive version this can reach 30% or more.
Risk for both versions is managed tightly and portfolio risk is updated daily.
Futures trading can be carried out in a parallel account by a CTA selected by the client. The option trading account is co-margined with the futures trading account.
兩種模式(商品)依客戶選擇:選積極壓到50%以上......選穩定壓30%以下.....
呵呵....紅字有說跟沒說一樣......
盤整作長勒......趨勢賭單方...偶而做套利.......也會有停損......
所以....我幫不上忙
對不起啦
(以前有一個Men arbitrage....喔...現在還在...2000年時要10萬美金才能做..)
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